Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 7 | 9 | 11 |
| Score | -2.81 | -1.53 | 0.04 |
| Market Cap (Millions USD) | 5156.16 | 5124.03 | 5225.07 |
| Predicted Beta | 2.38 | 2.42 | 2.42 |
| Idiosyncratic Volatility | 4.52 | 4.98 | 5.15 |
Annualized return and volatility
| IJT | |
|---|---|
| Annualized Return | 0.0928 |
| Annualized Std Dev | 0.2169 |
| Annualized Sharpe (Rf=0%) | 0.4278 |
Row
Daily Return Statistics
| IJT | |
|---|---|
| Observations | 4966.0000 |
| NAs | 148.0000 |
| Minimum | -0.1035 |
| Quartile 1 | -0.0064 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0079 |
| Maximum | 0.0891 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0137 |
| Skewness | -0.1465 |
| Kurtosis | 4.1429 |
Downside Risk
| IJT | |
|---|---|
| Semi Deviation | 0.0098 |
| Gain Deviation | 0.0093 |
| Loss Deviation | 0.0099 |
| Downside Deviation (MAR=210%) | 0.0145 |
| Downside Deviation (Rf=0%) | 0.0096 |
| Downside Deviation (0%) | 0.0096 |
| Maximum Drawdown | 0.5761 |
| Historical VaR (95%) | -0.0212 |
| Historical ES (95%) | -0.0313 |
| Modified VaR (95%) | -0.0214 |
| Modified ES (95%) | -0.0350 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-11 | 2009-03-09 | 2010-12-21 | -0.5761 | 820 | 363 | 457 |
| 2000-09-05 | 2002-10-09 | 2003-11-28 | -0.3631 | 828 | 534 | 294 |
| 2018-09-04 | 2018-12-24 | NA | -0.2721 | 336 | 79 | NA |
| 2011-07-08 | 2011-10-03 | 2012-03-26 | -0.2645 | 183 | 62 | 121 |
| 2015-06-24 | 2016-02-11 | 2016-07-12 | -0.1969 | 269 | 164 | 105 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IJT | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | 0.0 | 0.7 | 0.0 | -0.9 | 3.7 | 0.0 | 3.5 |
| 2001 | -0.4 | -0.2 | 0.0 | 0.7 | 0.2 | 0.0 | 0.3 | 0.0 | -1.9 | 0.8 | 0.0 | 0.0 | -0.5 |
| 2002 | -0.7 | 2.2 | -0.6 | 0.3 | 0.0 | -3.3 | -1.5 | 0.0 | 1.8 | 1.7 | 0.0 | 0.0 | -0.1 |
| 2003 | 0.0 | 0.0 | 0.8 | -0.6 | 0.0 | 0.5 | -1.3 | 0.0 | 1.7 | 0.0 | 1.3 | 0.0 | 2.5 |
| 2004 | 0.0 | 2.0 | 0.3 | 0.0 | 1.0 | -1.2 | 0.0 | 1.0 | 2.0 | 0.6 | 1.3 | 0.0 | 7.2 |
| 2005 | 0.6 | 0.6 | -0.1 | 0.0 | 1.3 | 0.7 | 0.3 | 0.4 | 0.0 | 0.3 | 1.6 | 0.0 | 5.8 |
| 2006 | 0.8 | 1.4 | 0.0 | -0.6 | 1.8 | 0.0 | -1.2 | 0.4 | 0.0 | -1.2 | -0.4 | 0.0 | 0.9 |
| 2007 | 1.3 | -0.4 | 0.0 | 0.4 | 0.7 | 0.0 | 0.9 | 0.0 | 2.2 | -3.9 | 0.0 | 0.0 | 1.2 |
| 2008 | 2.5 | 0.0 | 2.3 | 1.0 | 0.0 | -0.5 | 0.4 | 0.0 | -2.0 | 0.0 | -10.3 | 0.0 | -7.1 |
| 2009 | 0.0 | 0.0 | 2.0 | 0.5 | 4.3 | 1.9 | 0.0 | -1.6 | -2.5 | 0.0 | 1.2 | 0.0 | 5.7 |
| 2010 | 1.1 | 2.3 | 0.9 | 0.0 | -2.6 | -0.7 | 0.0 | 3.4 | 0.5 | -0.5 | 2.1 | 0.0 | 6.6 |
| 2011 | 1.8 | -1.8 | 0.3 | 0.0 | -3.0 | 1.6 | -0.9 | -1.7 | 0.0 | -3.0 | -0.6 | 0.0 | -7.1 |
| 2012 | 1.8 | 0.7 | 0.0 | 0.4 | -2.8 | 0.0 | -1.6 | 0.0 | 0.2 | 1.1 | 0.0 | 0.0 | -0.3 |
| 2013 | 1.2 | 0.4 | -1.3 | -2.0 | 0.0 | 1.8 | 1.4 | 0.0 | 1.3 | -0.5 | 0.0 | 0.0 | 2.2 |
| 2014 | 0.0 | 0.0 | 1.3 | -0.3 | 0.0 | 1.2 | -0.5 | 0.0 | -1.5 | 0.0 | -1.5 | 0.0 | -1.3 |
| 2015 | 0.0 | 0.0 | -0.2 | 0.7 | 0.5 | 0.6 | 0.0 | -2.8 | -0.3 | 0.0 | 0.8 | 0.0 | -0.8 |
| 2016 | -0.2 | 2.1 | 0.4 | 0.0 | 0.7 | 0.1 | 0.2 | 0.2 | 0.0 | -1.4 | -0.5 | 0.0 | 1.5 |
| 2017 | -0.2 | 1.8 | 0.0 | 0.7 | 1.7 | 0.0 | 0.2 | 0.6 | 0.0 | -0.6 | -0.6 | 0.0 | 3.6 |
| 2018 | 0.6 | -0.6 | 0.0 | 0.8 | 0.8 | 0.0 | 0.3 | 0.0 | -1.4 | 2.4 | 0.0 | 0.0 | 2.8 |
| 2019 | -0.2 | 0.6 | 0.9 | -0.6 | 0.0 | 0.2 | -1.1 | 0.0 | -1.9 | 1.2 | 0.0 | 0.1 | -0.9 |
Row
Rolling Performance Chart
Snail Trail Chart
